Following on from the signing of its first client of 2010 for its Algo First solution earlier this month, Algorithmics is counting on the move from a pure quantitative approach to risk to spur on further client interest this year. Firms are gradually moving towards more of a balanced quantitative and qualitative approach to risk, especially as a result of new regulations in this space, explains Penny Cagan, managing director of credit and operational risk content at Algorithmics, to A-Team Insight.
By Jeff Wells
Last month, the Financial Accounting Standards Board (FASB) and the International Accounting Standards Board (IASB) got together to hammer out a final definition for the term ‘fair value’. They agreed that it means an “exit price” in most markets, but in illiquid markets or those that are less active this involves the consideration of a number of variables that they have “tentatively” agreed upon. This, of course, has a significant impact on the levels of data that need to be provided alongside each price, but the lack of definitive standards is likely to prove a headache for valuations departments for some time to come.
Following the restructuring of the Fixed Income Risk Management Services (FIRMS) unit to combine its securities evaluations, valuations services and market research teams into one group last month, the Standard & Poor’s owned analytics and research group has launched a new transparency initiative for fixed income valuations. The vendor is now offering the assumptions data underlying its pricing and valuations via the FIRMS Global Data Solutions platform and the FIRMS Global Credit Portal, says Frank Ciccotto, senior vice president of the new Valuation & Risk Strategies group.
As part of its endeavour to establish itself as a clearing counterparty (CCP) in the OTC derivatives market, CME Group has this month selected two pricing solutions to support its CCP’s credit default swap (CDS) pricing and intraday risk management services: CMA’s DataVision and Fitch Solutions’ CDS Pricing Service. Anna Mazzone, vice president of product management and marketing at CMA, explains to A-Team Insight how DataVision will support CME Group’s OTC CDS Clearing service.
BNY Mellon Asset Servicing has invested in its client and regulatory reporting systems as a result of valuation and regulatory changes such as FAS 157 and FAS 132R-1, explains Chris Richmond, managing director of global product accounting for the fund administrator, to A-Team Insight. This has involved a significant investment in automating the upload of non-standard pricing sources and the scrubbing of same security prices from multiple sources, he elaborates.
A-Team Insight Exchange is a new event series for 2010, which will combine A-Team’s expertise in financial markets IT with thought leadership from world-class technology innovators and practical experience from financial market practitioners.
Last year, data management solution provider Aim Software signed a partnership with Luxembourg-based, application service provider (ASP) specialist CetrelSecurities (see our coverage here), which the vendors have now extended to the provision of cleansed reference data. The vendors are now working together to provide the Luxembourg market with an ASP platform based on the Gain data management platform, says Josef Sommeregger, vice president of business development and sales at Aim Software.
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